The Causal Relationship between Crude Oil Price, Exchange Rate and Rice Price

Pasrun Adam, Rosnawintang Rosnawintang, La Ode Saidi, La Tondi, La Ode Arsad Sani

Abstract


This study aims to examine the causal relationship between crude oil price, IDR/EUR exchange rate, and rice price by using monthly data from January 2000 to September 2017. The result of data analysis using VAR model shows that there is no long-term relationship between crude oil price, IDR/EUR exchange rate, and the price of rice. The relationhip that happens is only in short-term one. Granger causality test result shows that the direction of relationship is from crude oil price and IDR/EUR exchange rate to rice price. The relationship between crude oil price and rice price is positive, while the relationship between IDR/EUR exchange rate and rice price is positive before the third month. However, this relationship turns into negative after the third month.   

Keywords: Crude oil price, exchange rate, rice price, VAR model.

JEL Classifications: C58, G150, Q13, Q430  


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